First, a disclaimer: This is my theory. I've heard some radio shows that mix news and politics that were in tacit support of this kind of stuff. A good way to apply the scientific principle and test the theory would be to talk to one of those who attended. Maybe you could find someone who participated and talk to them (online and virtually, of course)?
The first thing to remember is where this is happening. Both the state and the country (USA). Other answers have covered the state aspect -- extra strict rules -- so I will cover mainly the country aspect in this answer.
As a US citizen, something that has struck me while listening to people from other countries being interviewed about their thoughts on the US is the way people from other countries just don't get the "American" values and way of thinking. (American is in quotes because not all US citizens think this way; but the ones that do probably think the other ones are less patriotic (and less brave) for not thinking that way.)
This "American" (US) way of thinking encourages the individual to consider freedom as more important than their own life. It assumes that any government can become corrupted (gain too much power and limit freedoms too much), whether all at once, or just by accumulating a large amount of regulations. It is concerned with preserving the "escape hatch" for such situations, considering it a patriotic duty to protect the constitutionally protected rights of freedom of speech, assembly, and to bear arms.
One of the litmus tests to see if "the government is becoming corrupted" is to attempt to exercise those rights. A partial failure of the test could be the start of a slippery slope where the government is consolidating power and attempting to remove the "escape hatch" option. Any failure must be corrected by the citizens heavily exercising those rights to pressure the government to back away from the slippery slope.
Also, you need to remember who you might be talking about. They seem to be supporters of Trump. Some (maybe most? I really don't have a good idea of the ratio on this, so take it as anecdote) Trump supporters have a pretty high distrust of most "news" (quotation marks theirs). As in they expect bias/recoloring/intentional omission of important details on any story that can at all be related to Trump anywhere from 95+% of the time (CNN, MSNBC) to 5-10% of the time (Fox).
For every data point the other side put out, they have their own take & explanation that delegitimizes it.
In their mind, they've been through a Russian election meddling hoax (some might explain the real story is the US Federal intelligence system, either through rouge employees or tacit approval at various leadership levels, authorized spying on an active presidential campaign).
In their mind, they've been through a sham impeachment attempt (they might say the real story is that Joe Biden improperly used influence to get a Ukrainian fired because he was investigating a corrupt oil/gas company that gave Joe Biden's son a cushy job).
Dr Fauci? Hillary Clinton supporter that said "from your doctor admirer" in a letter to her.
World Health Organization? Caught trying to help the Communist Party of China spin a worldwide disaster of their own making into a moment for them to emerge as the savior of the world while blaming the US for the pandemic.
CDC? Can't make up it's mind on if masks should be worn by the general public or not. Or can, but lied to us to try to control the market and ration N95 masks to save them for health professionals. Because of limited testing, potentially still doesn't actually know about asymptomatic cases, artificially raising the death rate percentage and maybe making getting this sound more serious than it actually is, especially for young/healthy people.
You see, in their mind, most every "authority" saying we need to be shutdown right now regardless of economic impact has been delegitimized, OR called into question, OR is not malicious, but prematurely trying to state facts in the middle of a pandemic before science actually knows OR is just reacting with shutdown instead of a proactive plan that doesn't destroy the economy. They've just heard the cry of "Wolf" from media they don't trust anyway too many times and don't think this is all that serious.
Voluntary Individual risk taking without community risk
At the same time, everyone who is actually afraid is sheltered at home. Thus, in their mind, their individual decision (freedom?) to go out does not affect those unwilling to take the risk of being infected. Thus, they are free to make a decision about personal risk with no guilt about risk to a community. In their mind, those out and about at things like this protest have voluntarily taken on the risk of getting infected with the "Wuhan virus". (I hope that either everyone living with them agrees, and/or they are quarantining themselves from those that don't or are at particular risk).
At the same time, their freedom of assembly, and movement in general is being restricted by the executive branch instead of through the proper one (legislature). Remember what I said their response to a failing litmus test is?
Thomas Paine, one of the founding fathers, is quoted as saying: Is life so dear, or peace so sweet, as to be purchased at the price of chains and slavery? Forbid it, Almighty God! I know not what course others may take; but as for me, give me liberty or give me death!
So would you rather slavery or a chance of getting a virus that gives you a chance of death? If freedom is more important than your own personal life, why not go? Your government is stepping on the slippery slope of totalitarianism and you'd be a patriotic hero if you go and take personal risk to "fix" that. (Deep down, you don't actually think totalitarianism is going to happen, but the numbers from the CDC inflate the severity, but then again, you're young and healthy and don't actually think you would probably get anything other than an asymptomatic case.) And, you're sitting at home bored anyway -- even if you don't totally support the protest itself, you could go and watch from inside your car where you are "safe".